Title of article
The Dynamic Impact of Oil Price on Investor Sentiment in Tehran Stock Exchange: An Industry-Level Analysis
Author/Authors
Masoudi Alavi, Hasan Department of Management and Accounting - Farabi Faculty - University of Tehran, Qom, Iran , Nadiri, Mohammad Department of Management and Accounting - Farabi Faculty - University of Tehran, Qom, Iran , Saranj, Ali Reza Department of Management and Accounting - Farabi Faculty - University of Tehran, Qom, Iran
Pages
20
From page
38
To page
57
Abstract
Investor sentiment is one of the non-fundamental factors that affect the financial markets, which itself is influenced by various factors, including oil price changes. This study aims to investigate the impact of oil price on investor sentiment in stock market industries in the Tehran Stock Exchange (TSE) using monthly data from April 2010 to June 2020. To investigate this issue, stock exchange industries were grouped into three categories: total industries, oil-related industries, and non-oil industries, and the effect of oil prices on investor sentiments in these three groups was examined using the pooled mean group (PMG) technique. The PMG approach considers both the short- and long-run relation between series and provides reliable results in the context of dynamic heterogeneous panel models. The implementation of PMG in all three models shows the impact of oil prices on investor sentiment over both the short and long run. Findings suggest also that oil price has positive and significant in all three models in the long run and the oil price coefficient is higher in oil-related industries than non-oil-related industries. These results are the opposite of the results obtained by similar studies, which can be due to the special features of countries, e.g. being oil exporters or oil importers
Keywords
Investor Sentiment , Oil Price , PMG Method , Industry
Journal title
Iranian Journal of Finance (IJFIFSA)
Serial Year
2021
Record number
2667303
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